Senior Manager, Risk Modeling and Machine Learning

3 weeks ago


Old Toronto, Canada RBC - Royal Bank Full time
Job Summary

The incumbent will be responsible for managing, monitoring and building predictive risk models that support retail and small business Credit Strategies in Personal & Commercial banking.

Job Description

What is the opportunity?
As a Senior Manager on the risk modeling and machine learning team, you will analyze, design and implement solutions to enable real-time decision making for the Personal Financing Products business, in addition to developing quantitative models to support enterprise wide analytics and risk measurement.

The team specializes in leveraging large data sets to generate new insights and make fact-based decisions on how to profitably grow loan originations by balancing risk, pricing, operational efficiency and customer impact. You will have the opportunity to develop a deep understanding of all of RBC's retail banking product offerings through advanced data analytics. You will be responsible for the end-to-end development of models from data extraction to its implementation while maintaining continuous interaction with key stakeholders within Personal and Commercial Banking. The role employs a range of leading-edge technologies and capabilities, applying machine learning and statistical techniques, to build predictive behavioral models and credit strategies.

What will you do?

  1. Development of models that support credit decisions in Portfolio Management and Credit Strategies
  2. End-to-end project management, continuous interaction with key stakeholders (strategy, implementation, business and model validation partners)
  3. Data mining or extracting usable data from multiple data sources, process, clean, validate the integrity of data to be used for analysis and analyze large amounts of information to find patterns and solutions
  4. Develop prediction systems through the usage of machine learning tools and advanced statistics to select features, create and optimize classifiers or regression outcome
  5. Present result in a clear and concise manner for non-technical stakeholders and comprehensive model documentation
  6. Responsible for resolving issues raised by independent validation, Internal Audit and ongoing model monitoring
  7. Accountable for existing models in production and responsible for documentation related to existing models (annual assessment and re-validation, model updates)

What do you need to succeed?
Must-have:

  • Undergraduate degree in computer science, finance, mathematics, statistics, or engineering
  • Strong understanding and working knowledge of advanced statistical methods and Machine Learning techniques, with at least 5 years of working experience
  • Expert and demonstrated knowledge of survival analysis and time series
  • High level experience in data manipulation on large datasets
  • Fluency in both SQL and Big data technologies (Hadoop, Spark)
  • Expert in creating clean and efficient production code (either in Python, R, Java, Scala)
  • Experience in code sharing solutions (Github)
  • Experience in automation and scheduling of data pipeline for end-to-end scoring solutions
  • Knowledge on data access, data modeling, data architecture, and data storage techniques
  • Strong UNIX command line knowledge
Nice to have:
  • Masters degree in computer science, finance, mathematics, statistics, or engineering
  • Deep learning machine learning model development experience
  • Working knowledge of credit bureau data
  • Knowledge of C++ and prior development of large scale simulation
  • Prior model development for IFRS9, banking book stress testing, or capital measurement

What's in it for you?
We thrive on the challenge to be our best, progressive thinking to keep growing, and working together to deliver trusted advice to help our clients thrive and communities prosper. We care about each other, reaching our potential, making a difference to our communities, and achieving success that is mutual.

Ability to make a difference and lasting impact
Work in a dynamic, collaborative, progressive, and high-performing team
Opportunities to do challenging work

Job Skills

Business Credit, Competitive Markets, Consulting, Credit, Credit Decisions, Credit Strategies, Critical Thinking, Documentation, End-to-End Testing, Financial Instruments, Financial Regulation, Long Term Planning, Model Development, Model Risk, Quantitative Methods, Risk Management, Risk Models

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